TX, you're on the right track, essentially. You need to open up the ceiling, have a look at where you can fit the skylight between the rafters, and what that means in terms of your ceiling (best case scenario is that rafters and ceiling joists are aligned, and you can just drop the light, build a box and call it done. If things aren't that well lined up, then you may have to get a bit creative.

Roofside, you usually need some kind of 90 degree flashing to tuck under the shingles, and under some kind of flange on the light. Don't spare the Tar. Roofs don't need to be pretty, they need to be dry.

When I build the box what material should I make it out of? I know the box needs to be sealed to keep out the cold/hot of the attic however should I use a real thick building material as well to keep the attic climate out of the bathroom?

Not to high jack this thread... we built an addition in 2000 june and added a skylight to the roof above the kitchen . Life was great till 2008 hail storm; june 2009 insurance replaced the damaged shingles on roof & garage. To the Skylight the contractor just replaced the base around the skylight he said the window would be OK ( we complained of it leaking )before the shingles . The big storm on it's way in Dec. 09/2009 and its raining inside . Now they are on their way to inspect and check out the pictures we took. Let you know how it turns out.